In this work we study the Cosine Transform operator and the Sine Transform operator in the setting of Henstock-Kurzweil integration theory. We show that these related transformation operators have a very different behavior in the context of Henstock-Kurzweil functions. In fact, while one of them is a bounded operator, the other one is not. This is a generalization of a result of E. Liflyand in the setting of Lebesgue integration.